Maume-Deschamps, Véronique; Rullière, Didier; Said, Khalil - In: Statistics & Risk Modeling 35 (2018) 3-4, pp. 111-140
Abstract Multivariate expectiles, a new family of vector-valued risk measures, were recently introduced in the literature.
[ 22 ].
Here we investigate the asymptotic behavior of these measures in a multivariate regular variation context. For models with equivalent tails, we propose an estimator...
